Monitoring mean change via penalized estimation

被引：0
|
作者：
Na, Okyoung [1 ]
Kwon, Sunghoon [2 ]
机构：
[1] Kyonggi Univ, Dept Appl Informat Stat, Suwon, South Korea
[2] Konkuk Univ, Dept Appl Stat, 120 Neungdong Ro, Seoul 05029, South Korea
来源：
KOREAN JOURNAL OF APPLIED STATISTICS | 2016年 / 29卷 / 07期
基金：
新加坡国家研究基金会;
关键词：
CUSUM monitoring; FL monitoring; LASSO; penalized estimation; SCAD;
D O I：
10.5351/KJAS.2016.29.7.1429
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We suggest a monitoring procedure to detect changes in the mean of the stochastic process. The monitoring procedure is based on penalized least squares estimates. Unlike the fluctuation (FL) monitoring, we use the numbers of nonzero estimates not the fluctuations of sequential parameter estimates. We investigate the behavior of the proposed monitoring procedure by means of a simulation study and compare its performance with CUSUM monitoring.
引用
收藏
页码：1429 / 1444
页数：16
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